Consider the following bootstrapped 3-year performance of an actively managed investor's portfolio and a relevant benchmark: Investor's Portfolio Benchmark Portfolio Iteration Portfolio Value Portfolio Portfolio Value Portfolio Return t=3 Return p.a. t=3 р.а. 1 1.3 9.1% 1.2 6.3% 0.9 -3.5% 0.9 -3.5% 0.9 -3.5% 0.8 -7.2% 4 1.2 6.3% 1.1 3.2% 5 1.3 9.1% 1.2 6.3% What is the tracking error of investor's portfolio relative to the benchmark (compounded outperformance) over 3 years (rounded to one decimal place)? Select one: а. 1.4% O b. 2.7% O c. 4.5% O d. 4.6% O e. None of the above 2. 3.
Consider the following bootstrapped 3-year performance of an actively managed investor's portfolio and a relevant benchmark: Investor's Portfolio Benchmark Portfolio Iteration Portfolio Value Portfolio Portfolio Value Portfolio Return t=3 Return p.a. t=3 р.а. 1 1.3 9.1% 1.2 6.3% 0.9 -3.5% 0.9 -3.5% 0.9 -3.5% 0.8 -7.2% 4 1.2 6.3% 1.1 3.2% 5 1.3 9.1% 1.2 6.3% What is the tracking error of investor's portfolio relative to the benchmark (compounded outperformance) over 3 years (rounded to one decimal place)? Select one: а. 1.4% O b. 2.7% O c. 4.5% O d. 4.6% O e. None of the above 2. 3.
Chapter1: Financial Statements And Business Decisions
Section: Chapter Questions
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Transcribed Image Text:Consider the following bootstrapped 3-year performance of an actively managed investor's portfolio
and a relevant benchmark:
Investor's Portfolio
Benchmark Portfolio
Iteration
Portfolio Value
Portfolio
Portfolio Value Portfolio Return
t=3
Return p.a.
t=3
p.a.
1
1.3
9.1%
1.2
6.3%
0.9
-3.5%
0.9
-3.5%
3
0.9
-3.5%
0.8
-7.2%
4
1.2
6.3%
1.1
3.2%
1.3
9.1%
1.2
6.3%
What is the tracking error of investor's portfolio relative to the benchmark (compounded
outperformance) over 3 years (rounded to one decimal place)?
Select one:
O a. 1.4%
O b. 2.7%
O c. 4.5%
O d. 4.6%
e. None of the above
5.
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